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(MarkToMarketOrMarkToModel) |
This dimension categorises the reported data according to the measurement scenario under which the reported value was calculated.
The value reported is the market value of a position, calculated as either: - the mark-to-market value, using readily-available, independently sourced closed-out prices, appropriately in accordance with relevant accounting standards; or, where marking-to-market is not possible - the mark-to-model value, as determined in accordance with relevant prudential standards.
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(LTG5ToLTG6) |
This dimension categorises investments of the entity according to the long-term and short-term credit rating grades of the counterparty as determined by various rating agencies.Long-term ratingsRating Grade1: Standard & Poor's AAA, AA+, AA, AA-; Moody's Aaa, Aa1, Aa2, Aa3; Fitch AAA, AA+, AA, AA-Rating Grade2: Standard & Poor's A+, A, A-; Moody's A1, A2, A3; Fitch A+, A, A-Rating Grade3: Standard & Poor's BBB+, BBB, BBB-; Moody's Baa1, Baa2, Baa3; Fitch BBB+, BBB, BBB-Rating Grade4: Standard & Poor's BB+, BB, BB-; Moody's Ba1, Ba2, Ba3; Fitch BB+, BB, BB-Rating Grade5: Standard & Poor's B+, B, B-; Moody's B1, B2, B3; Fitch B+, B, B-Rating Grade6: Standard & Poor's CCC+, CCC, CCC-, CC, C, D; Moody's Caa1, Caa2, Caa3, Ca, C; Fitch CCC+, CCC, CCC-, CC, C, DShort-term ratingsRating Grade1: Standard & Poor's A-1; Moody's P-1; Fitch F-1Rating Grade2: Standard & Poor's A-2; Moody's P-2; Fitch F-2Rating Grade3: Standard & Poor's A-3; Moody's P-3; Fitch F-3Rating Grade4: Standard & Poor's Others; Moody's Others; Fitch Others;
This information relates to investments with a long-term credit rating grade of 5 or 6.
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(NonSecuritisation) |
This dimension categorises reported information based on the type of securitisation exposure and its associated risk category, as determined in accordance with relevant prudential standards. Exposures can only be recorded as being within the category of non-securitisation, securitisation, re-securitisation or correlation trading portfolio.
The information reported relates to non-securitisation exposures, which are exposures to a single name (the issuer) where the underlying debt has not been pooled.
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(Other) |
This dimension is used to categorise information reported in relation to exposures subject to specific risk factors, based on the applicable specific risk categories, as determined in accordance with relevant prudential standards.Specific risk represents the risk that the value of a security will change due to issuer-specific factors.
The information reported is in relation to exposures subject to specific risk and for which the applicable risk category is classed as other than government or qualifying, as determined in accordance with relevant prudential standards.
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